Portfolio Optimization Dynamic Chart

PORTFOLIO OPTIMIZATION Dynamic Chart Inputs Riskless Rate 4.0% 20 0.0% Risky Asset 1 8.0% 40 20.0% 100 Risky Asset 2 9.0% 45 20.0% 100 Risky Asset 3 10.0% 50 20.0% 100 Risky Asset 4 11.0% 55 20.0% 100 Risky Asset 5 12.0% 60 20.0% 100 1 2 3 4 5 1 100.0% 0.0% 0.0% 0.0% 0.0% 2 0.0% 100.0% 0.0% 0.0% 0.0% 3 0.0% 0.0% 100.0% 0.0% 0.0% 4 0.0% 0.0% 0.0% 100.0% 0.0% 5 0.0% 0.0% 0.0% 0.0% 100.0% 2 10 3 10 10 4 10 10 10 5 10 10 10 10 Correlations Expected Return Standard Deviation Eff. Trade-Off Line & Eff. Frontier Curve 0% 2% 4% 6% 8% 10% 12% 14% 16%0% 5% 10% 15% 20% 25% Standard Deviation (σ) Expected Return Portfolio Weights in an Optimal (Tangent) Port. 0% 10% 20% 30% 40% 1 2 3 4 5 Asset Number Portfolio Weights1 2 3 4 5 20.0% 20.0% 20.0% 20.0% 20.0% One plus Exp Ret [1 + E(r)] Ones 1 2 3 4 5 104.0% 1 4.00% 0.00% 0.00% 0.00% 0.00% 1 108.0% 100.0% 2 0.00% 4.00% 0.00% 0.00% 0.00% 2 109.0% 100.0% 3 0.00% 0.00% 4.00% 0.00% 0.00% 3 110.0% 100.0% 4 0.00% 0.00% 0.00% 4.00% 0.00% 4 111.0% 100.0% 5 0.00% 0.00% 0.00% 0.00% 4.00% 5 112.0% 100.0% Outputs A 125 B 137.5 C. 151.275 Efficient Efficient Delta 3.1E+00 Frontier Trade-off Individual Gamma 0.133333 Curve Line Asset Optimal Combination Standard Expected Expected Expected of Risky Assets Index Deviation Return Return Return (Tangent Portfolio) Risky Asset 1 20.0% 8.0% 1 13.33% Risky Asset 2 20.0% 9.0% 2 16.67% Risky Asset 3 20.0% 10.0% 3 20.00% Risky Asset 4 20.0% 11.0% 4 23.33% Risky Asset 5 20.0% 12.0% 5 26.67% Trade-off Curve 0 25.00% 6.31% Trade-off Curve 1 22.84% 6.68% Trade-off Curve 2 20.71% 7.05% Trade-off Curve 3 18.63% 7.42% Trade-off Curve 4 16.62% 7.79% Trade-off Curve 5 14.71% 8.15% Trade-off Curve 6 12.93% 8.52% Trade-off Curve 7 11.36% 8.89% Variances and Covariances Standard DeviationsTrade-off Curve 8 10.09% 9.26% Trade-off Curve 9 9.24% 9.63% Trade-off Curve 10 8.94% 10.00% Trade-off Curve 11 9.24% 10.37% Trade-off Curve 12 10.09% 10.74% Trade-off Curve 13 11.36% 11.11% Trade-off Curve 14 12.93% 11.48% Trade-off Curve 15 14.71% 11.85% Trade-off Curve 16 16.62% 12.21% Trade-off Curve 17 18.63% 12.58% Trade-off Curve 18 20.71% 12.95% Trade-off Curve 19 22.84% 13.32% Trade-off Curve 20 25.00% 13.69% Optimal Comb. 9.2% 10.3% Eff Trade-off Line 0.0% 0.0% 4.0% Eff Trade-off Line 100.0% 9.2% 10.3% Eff Trade-off Line 200.0% 18.4% 16.7%